위험관리 | Cases and Studies of Risk Management in Lottery & Gambling | 危險管理
- date : 2015-05-20 01:10|hit : 2618
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- Article] Risk Preferences and Their Robust Representation
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DocNo of ILP: 841
Doc. Type: Article
Title: Risk Preferences and Their Robust Representation
Authors: Drapeau, S; Kupper, M
Full Name of Authors: Drapeau, Samuel; Kupper, Michael
Keywords by Author: risk perception; risk measures; robustness
Keywords Plus: PORTFOLIO SELECTION; EXPECTED UTILITY; CONVEX; CONTINUITY; AMBIGUITY; DUALITY; RISKINESS; CERTAINTY
Abstract: To address the plurality of interpretations of the subjective notion of risk, we describe it by means of a risk order and concentrate on the context invariant features of diversification and monotonicity. Our main results are uniquely characterized robust representations of lower semicontinuous risk orders on vector spaces and convex sets. This representation covers most instruments related to risk and allows for a differentiated interpretation depending on the underlying context that is illustrated in different settings: for random variables, risk perception can be interpreted as model risk, and we compute among others the robust representation of the economic index of riskiness. For lotteries, risk perception can be viewed as distributional risk and we study the "value at risk." For consumption patterns, which excerpt an intertemporality dimension in risk perception, we provide an interpretation in terms of discounting risk and discuss some examples.
Cate of OECD: Economics and business
Year of Publication: 2013
Business Area: lottery
Detail Business: lottery
Country: Germany
Study Area: economy, economy, computer engineering, computer, preference, risk
Name of Journal: MATHEMATICS OF OPERATIONS RESEARCH
Language: English
Country of Authors: [Drapeau, Samuel; Kupper, Michael] Humboldt Univ, D-10099 Berlin, Germany
Press Adress: Drapeau, S (reprint author), Humboldt Univ, D-10099 Berlin, Germany.
Email Address: drapeau@math.hu-berlin.de; kupper@math.hu-berlin.de
Citaion:
Funding: MATHEON project [E.11]; Berlin Mathematical School; DFG [IRTG 1339]; Vienna Science and Technology Fund
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Number of Citaion: 54
Publication: INFORMS
City of Publication: HANOVER
Address of Publication: 7240 PARKWAY DR, STE 310, HANOVER, MD 21076-1344 USA
ISSN: 0364-765X
29-Character Source Abbreviation: MATH OPER RES
ISO Source Abbreviation: Math. Oper. Res.
Volume: 38
Version: 1
Start of File: 28
End of File: 62
DOI: 10.1287/moor.1120.0560
Number of Pages: 35
Web of Science Category: Operations Research & Management Science; Mathematics, Applied
Subject Category: Operations Research & Management Science; Mathematics
Document Delivery Number: 093KE
Unique Article Identifier: WOS:000315190000002
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